The CGMY model was developed by [1]} and can be seen as a generalisation of the VG model discussed above. [1]} introduced the CGMY model as a class of infinitely divisible distributions (also known as tempered stable processes; see [3]}). The Lévy measure for the CGMY process is given by
\(\nu _{\rm (CGMY)}(d\chi )={\left\lbrace \begin{array}{ll}&C\exp (-G |\chi |)/|\chi |^{Y+1}\mathrm {d} \chi , \,\, \chi <0, \\&C\exp (-M |\chi |)/|\chi |^{Y+1}\mathrm {d}\chi , \,\, \chi >0,\end{array}\right.}\) 
